Execution, liquidity, venue design, and market structure.
17 published titles · Same filter in catalogue
Curated sequences that include this topic.
Shelf notes for books in this topic.
Pre-electronic lens on inventory, bid–ask, and spread risk—pedagogical colour, not a guide to modern screen markets.
The Foreign Exchange Market: Theory and Practice
This text provides a modern market microstructure perspective on foreign exchange.
The Flash Crash: A Trading Savant, a Global Manhunt, and the Most Mysterious Market Crash in History
This book offers a narrative of the May 6, 2010 flash crash, exploring its implications for systemic risk in modern markets.
An analytical exploration of exchange design and market microstructure.
Order Flow: The Price Impact of Trading
This work focuses on the dynamics of order flow and its implications for market behaviour.
Market Impact Models and the Implementation of Portfolio Trades
A quantitative framework for understanding market impact and execution costs.
High-Frequency Trading in FX: Evidence from EU High-Frequency Data
This work provides a data-driven analysis of high-frequency trading in the foreign exchange market.
High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Systems
This technical guide offers insights into high-frequency trading strategies and systems.
A Primer on Market Microstructure: Essentials for Traders
This work serves as a foundational reference on market microstructure concepts and bid-ask dynamics.
A Primer on Market Microstructure
This work serves as a foundational reference on market microstructure.
Algorithmic and High-Frequency Trading: An Overview
This text serves as a comprehensive guide to algorithmic execution and optimisation in trading.
This book provides an institutional view of trading mechanics and market design.
The Microstructure Approach to Exchange Rates
A foundational reference for understanding FX market behaviour through microstructure.
This work provides a rigorous theoretical treatment of market microstructure.
This book provides a specialist overview of high-frequency trading strategies and infrastructure.
This book provides a narrative exploration of high-frequency trading and market fairness.
This book provides a practical introduction to algorithmic trading and direct market access strategies.
Cartea et al. · 2015 · MIT Press
This comprehensive overview of algorithmic and high-frequency trading delves into market microstructure and the quantitative methods that underpin these trading strategies. It is designed for practitioners seeking to understand the intricacies of derivatives and the technological frameworks that support high-speed trading operations.
Barry Johnson · 2010 · John Wiley & Sons
Execution, algorithms, and market access mechanics.
Maureen O'Hara · 2002 · MIT Press
A Primer on Market Microstructure by Maureen O'Hara provides an essential introduction to the intricacies of market microstructure, focusing on the mechanisms that underpin trading and price formation. This text is particularly relevant for traders, analysts, and researchers seeking to understand the operational dynamics of financial markets.
Owen F. Harris · 2002 · MIT Press
A Primer on Market Microstructure provides an accessible introduction to the essential concepts and mechanisms that underpin trading environments. It focuses on the behaviour of market participants and the impact of their actions on price formation and liquidity.
Michael Lewis · 2015 · W. W. Norton
Market structure and HFT in narrative form.
Irene Aldridge · 2013 · John Wiley & Sons
HFT strategies and infrastructure overview.
Irene Aldridge · 2013 · John Wiley & Sons
This comprehensive guide delves into high-frequency trading (HFT), offering insights into algorithmic strategies and systems essential for navigating today's dynamic markets. It covers portfolio management techniques, technological advancements, and risk management strategies tailored for traders and quants alike.
Chaboud et al. · 2014 · Federal Reserve
This book provides an in-depth analysis of high-frequency trading (HFT) in the foreign exchange (FX) market, utilising extensive EU high-frequency data. It examines the implications of HFT on market microstructure, offering insights relevant to traders and technologists alike.
Almgren & Chriss · 2003 · Risk Books
Market Impact Models and the Implementation of Portfolio Trades provides a comprehensive exploration of market microstructure and quantitative finance, focusing on the effects of trading on market prices. The authors, Almgren and Chriss, delve into the mathematical modelling of trading strategies and their implications for execution and portfolio management.
Maureen O'Hara · 1998 · John Wiley & Sons
Foundational microstructure theory.
Trading and Risk Analysis for the Financial and Commodity Option Markets
Allen Jan Baird · 1992 · John Wiley & Sons
Floor-era option market-making primer: how professional liquidity providers thought about inventory, bid–ask, and spread risk before electronic and HFT dominance—valuable for microstructure intuition, not a handbook for today’s electronic vol markets.
Darrell Duffie · James Aitken · 2012 · MIT Press
Order Flow: The Price Impact of Trading provides an in-depth analysis of market microstructure and the quantitative aspects of trading. Authors Darrell Duffie and James Aitken explore how trading activities affect price formation and market dynamics, making it essential for practitioners in finance.
Budish et al. · 2015 · University Of Chicago Press
This book provides a comprehensive analysis of the design and functioning of futures markets, focusing on market microstructure and the technological frameworks that underpin these systems. It is particularly relevant for traders, researchers, and exchange operators seeking to understand the complexities of futures trading.
Gregory Zuckerman · 2012 · John Wiley & Sons
In 'The Flash Crash', Gregory Zuckerman delves into the events surrounding the unprecedented market crash of May 6, 2010. This account offers insights into market microstructure and the interplay between trading algorithms and human behaviour, making it essential reading for traders and investors alike.
Owen F. Harris · Hon-Ho Kwang · 2017 · John Wiley & Sons
This comprehensive text delves into the foreign exchange market, covering both theoretical frameworks and practical applications. It addresses key concepts in market microstructure, making it essential for traders and analysts seeking to enhance their understanding of FX dynamics.
Richard K. Lyons · 2006 · MIT Press
Landmark FX microstructure reference.
Market microstructure for practitioners
Larry Harris · 2002 · Oxford University Press
Institutional view of trading mechanics and market design.